Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0273
Annualized Std Dev 0.2605
Annualized Sharpe (Rf=0%) -0.1047

Row

Daily Return Statistics

Close
Observations 4526.0000
NAs 1.0000
Minimum -0.2885
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0047
Maximum 0.3201
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0164
Skewness 0.6884
Kurtosis 85.9918

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0142
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.8253
Historical VaR (95%) -0.0161
Historical ES (95%) -0.0373
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2004-01-07 2009-03-09 NA -0.8253 4331 1301 NA
2003-07-10 2003-08-04 2003-12-26 -0.1194 119 18 101
2003-04-21 2003-04-21 2003-06-05 -0.0234 33 1 32
2003-06-17 2003-06-24 2003-07-01 -0.0226 11 6 5
2003-12-30 2004-01-02 2004-01-06 -0.0146 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA -0.5 -0.1 0.5 0.1 -0.7 1.6 1.1 0 0.3 0.7 3.1
2004 0.9 0.8 0.4 0.5 0.1 1.4 0.1 -0.3 0.2 0.8 -0.1 1 6
2005 0.5 -0.1 -0.8 0 0.5 -0.1 -0.6 -0.1 0.5 -0.7 -0.1 0.3 -0.6
2006 0.2 0 0 1.4 0.4 0.3 0.6 0.2 -1.4 -0.1 -0.1 -0.1 1.5
2007 -0.2 0.3 0.1 0.5 0.3 0.9 -1 1.6 1.1 -1.5 1.9 1.9 5.8
2008 0.3 -0.3 2.9 0.9 0.1 0.3 1.3 -0.1 1.8 4.2 -8.6 4.1 6.5
2009 -0.7 1.5 1.4 1.4 1.5 2.3 0.8 -1.4 -1.2 -3.8 0.7 1.1 3.6
2010 0.4 0.7 1.7 -0.5 -1.1 -1.1 0.1 1.1 0.7 0.5 -0.1 0 2.4
2011 1.1 -0.5 0.2 0.7 0 0.8 0.9 -0.2 -2.1 -2.4 -0.3 1.4 -0.4
2012 0.9 0.7 -0.4 -0.6 0.1 -1 1 0.7 0.4 1.6 0.1 0 3.7
2013 -0.3 -0.6 -0.3 -0.5 -1.6 -0.1 -0.1 0.6 0.7 -0.3 0.3 0.2 -2
2014 0 0.3 0.4 0.1 0 0.2 0 0.1 0 0.1 -0.1 2.1 3.3
2015 -0.6 0.5 0.5 -0.2 0.4 0.5 0.1 0.4 0.1 0.6 1.9 0.2 4.7
2016 0.4 -0.8 0.4 0.6 0.7 0.2 0.5 -0.6 0.3 -0.1 -1.3 0.8 1.2
2017 -0.2 -0.2 0 -0.4 0.8 1.5 0.8 -0.1 0.9 -0.1 0.7 0.2 3.8
2018 -0.6 0.1 0.8 0.6 0.9 0.3 0.1 0.1 -0.6 1.4 0.6 1 4.8
2019 -0.2 0.1 1.3 0.2 -1.4 -0.5 -0.2 0.4 0 -0.6 -0.3 0.4 -0.8
2020 -0.5 -4 -9.7 -1.7 1.2 1.5 1 0.1 -0.1 0 0.9 1.1 -10.3
2021 0.7 0.9 -0.1 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart